Gas storage hedging. (English) Zbl 1247.91203

Warin, Xavier

Carmona, René A. (ed.) et al., Numerical methods in finance. Selected papers based on the presentations at the workshop, Bordeaux, France, June 2010. Berlin: Springer (ISBN 978-3-642-25745-2/hbk; 978-3-642-25746-9/ebook). Springer Proceedings in Mathematics 12, 421-445 (2012).

Summary: Gas storage hedging based on conditional delta is presented in this paper. Algorithms to calculate hedging strategies are detailed. Some numerical results for fast and seasonal storages show the efficiency of the method compared with finite difference.
For the entire collection see [Zbl 1238.91005].

MSC:

91G60	Numerical methods (including Monte Carlo methods)
91G99	Actuarial science and mathematical finance

Keywords:

dynamic hedging; gas storage; Monte Carlo

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